Usage

Arguments

Details

H = log(m)/log(n)

where
m = [max(r_i) - min(r_i)]/sigma_p and
n = number of observations
A Hurst index between 0.5 and 1 suggests that the returns are persistent.
At 0.5, the index suggests returns are totally random. Between 0 and 0.5
it suggests that the returns are mean reverting.

H.E. Hurst originally developed the Hurst index to help establish optimal
water storage along the Nile. Nile floods are extremely persistent,
measuring a Hurst index of 0.9. Peters (1991) notes that Equity markets
have a Hurst index in excess of 0.5, with typical values of around 0.7.
That appears to be anomalous in the context of the mainstream 'rational
behaviour' theories of economics, and suggests existence of a powerful
'long-term memory' causal dependence. Clarkson (2001) suggests that an
'over-reaction bias' could be expected to generate a powerful 'long-term
memory' effect in share prices.